VET Options History — May 2020

In May 2020, VET traded between $4.42 and $5.43. ATM implied volatility averaged 89.9%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 26.2%. IV traded below realized volatility by 17.2% (HV 20d: 107.0%). Max pain ranged from $5.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.27.

Notable Days

  • 2020-05-22: Highest Volume — 362 contracts
  • 2020-05-27: Largest IV drop — 26.9% change
  • 2020-05-07: Highest IV Rank — 31.4%
  • 2020-05-05: Largest Expected Move — 35.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.85$4.42$5.43$4.48$4.99
Max Pain$11.13$5.00$12.50$5.00$10.00
ATM IV89.9%64.0%100.7%97.2%86.4%
Expected Move26.2%18.3%35.3%27.9%24.8%
HV 20d107.0%82.2%128.9%128.7%82.2%
HV 60d181.9%180.3%184.3%180.4%182.4%
IV Rank27.3%17.7%31.4%30.0%26.0%
IV Percentile81.5%75.0%85.7%84.9%79.0%
Term Structure-2.8%-43.3%98.1%8.0%73.2%
VWIV93.8%73.0%117.4%94.1%83.2%
Skew 25d-6.7%-101.7%25.0%-19.9%16.5%
Skew 10d-0.9%-101.7%71.4%-36.6%26.2%
Call IV 25d104.8%75.2%198.5%113.6%75.2%
Put IV 25d98.0%70.5%139.7%93.6%91.7%
Bid-Ask Spread %54.5428.9871.2254.2651.98
Gamma HHI0.480.200.690.480.41
Net GEX11.1K3.8K23.3K11.2K10.7K
Net DEX1.2M1.0M1.3M1.1M1.2M
Net VEX-4.0K-5.0K-2.4K-5.0K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.001.430.070.03
Total Volume15717362141134
Total OI16,427.3515,73516,68116,22016,602

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$4.48$5.0097.2%27.9%128.7%30.0%94.1%-19.9%8.0%11.2K1.1M-5.0K0.0754.26N/AN/A132911,4234,797
2020-05-04$4.46$12.5095.9%33.1%128.9%29.6%114.0%-23.2%-11.4%12.4K1.1M-4.1K0.0159.26N/AN/A153111,5124,798
2020-05-05$4.61$12.5094.5%35.3%128.7%29.1%117.4%25.0%-26.3%11.4K1.1M-4.8K0.0150.89N/AN/A317311,5834,799
2020-05-06$4.48$12.5094.8%27.7%126.5%29.2%95.4%23.9%-7.8%11.9K1.1M-4.3K0.1957.22N/AN/A1102111,8274,796
2020-05-07$4.59$12.50100.7%29.7%123.2%31.4%103.4%16.2%-14.0%13.7K1.1M-4.6K0.3057.64N/AN/A331011,8854,796
2020-05-08$4.78$12.5085.5%20.0%123.2%25.7%90.8%11.7%17.3%17.9K1.2M-4.0K0.2071.22N/AN/A15311,8704,806
2020-05-11$4.74$12.5099.8%27.2%123.3%31.0%95.0%-7.2%-3.0%16.4K1.2M-3.4K1.1028.98N/AN/A9910911,8684,803
2020-05-12$4.88$12.5097.1%27.5%122.2%30.0%95.2%-2.8%-22.6%23.3K1.1M-4.4K0.0451.08N/AN/A2891311,8734,695
2020-05-13$4.46$12.5098.7%28.3%105.7%30.6%99.0%-12.5%-19.8%5.5K1.3M-3.1K0.1450.05N/AN/A22311,9264,697
2020-05-14$4.42$12.5096.0%27.5%98.5%29.6%107.2%-14.2%-12.8%5.2K1.3M-2.4K1.4356.35N/AN/A71011,9294,699
2020-05-15$4.44$12.5092.9%26.6%93.7%28.4%97.7%-19.2%-32.6%5.9K1.2M-3.5K0.0753.24N/AN/A28211,9324,689
2020-05-18$5.02$12.5091.1%26.1%98.6%27.8%92.3%-1.4%-26.2%7.8K1.3M-3.9K0.1057.88N/AN/A2772711,1524,583
2020-05-19$4.95$10.0094.5%27.1%99.2%29.1%95.0%-9.7%5.8%8.3K1.3M-3.7K0.1155.02N/AN/A1041111,3544,605
2020-05-20$5.31$10.0079.7%22.9%99.1%23.6%80.7%16.5%-43.3%11.0K1.2M-4.4K0.2260.43N/AN/A2866211,4294,614
2020-05-21$5.23$10.0091.0%26.1%96.7%27.8%93.0%9.4%98.1%9.8K1.2M-4.1K0.0062.30N/AN/A244011,5124,674
2020-05-22$5.10$10.0073.8%21.1%93.0%21.3%73.7%-5.7%-2.0%11.4K1.3M-3.8K0.2247.67N/AN/A2966611,7264,686
2020-05-26$5.43$10.0087.5%25.1%94.5%26.5%0.0%-101.7%-16.1%3.8K1.0M-4.2K0.2552.16N/AN/A771911,7704,725
2020-05-27$5.38$10.0064.0%18.3%91.1%17.7%73.0%-22.0%-24.7%11.9K1.3M-3.6K0.9160.01N/AN/A565111,7854,736
2020-05-28$5.24$10.0075.9%21.8%83.7%22.2%81.5%-14.0%3.3%11.7K1.2M-4.2K0.0053.27N/AN/A41011,8054,786
2020-05-29$4.99$10.0086.4%24.8%82.2%26.0%83.2%16.5%73.2%10.7K1.2M-4.2K0.0351.98N/AN/A130411,8164,786